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I want to find portfolio which maximizes Sharpe under the constraint that each asset contributes with the same amount of risk. Is it possible to do with riskfolio please? |
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Answered by
dcajasn
Jun 9, 2022
Replies: 1 comment
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Hi @qmgm No, and I think that this problem can't be posed as a DCP problem. Best, |
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Hi @qmgm
No, and I think that this problem can't be posed as a DCP problem.
Best,
Dany